Similar Search Results

A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles

Heidergott, Bernd; Volk-Makarewicz, Warren - Tinbergen Instituut - 2013

for quantile sensitivities by means of sample path differentiation. This has led to an intensive search for sample …-path differentiation based estimators for quantile sensitivities. In this paper we present a novel approach to quantile sensitivity … to the parameter of interest. Specifically, we perform a sensitivity analysis of the quantile of the value of a multi …

Persistent link: https://www.econbiz.de/10011257156

Ranking Systemically Important Financial Institutions

Dungey, Mardi; Luciani, Matteo; Veredas, David - Tinbergen Instituut - 2012

We propose a simple network–based methodology for ranking systemically important financial institutions. We view the risks of firms –including both the financial sector and the real economy– as a network with nodes representing the volatility shocks. The metric for the connections of the...

Persistent link: https://www.econbiz.de/10011255476

Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities

Geluk, J.L.; Vries, C.G. de - Tinbergen Instituut - 2004

Suppose are independent subexponential random variables with partial sums. We show that if the pairwise sums of the ’s are subexponential, then is subexponential and . The result is applied to give conditions under which as , where are constants such that is a.s. convergent. Asymptotic tail...

Persistent link: https://www.econbiz.de/10011255556

Insurance Sector Risk

Slijkerman, Jan Frederik - Tinbergen Instituut - 2006

reinsurance is important for the capacity of insurers, we measure risk dependence among European insurers and reinsurers. The … results point to a relatively low insurance sector wide risk. Dependence among insurers is higher than among reinsurers. …

Persistent link: https://www.econbiz.de/10011255587

Risk Measures for Autocorrelated Hedge Fund Returns

Cesare, Antonio Di; Stork, Philip A.; Vries, Casper G. de - Tinbergen Instituut - 2011

Standard risk metrics tend to underestimate the true risks of hedge funds becauseof serial correlation in the reported returns. Getmansky et al. (2004) derive mean,variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Followingtheir lead, adjusted downside and global...

Persistent link: https://www.econbiz.de/10011255664

Cocos, Contagion and Systemic Risk

Chan, Stephanie; Wijnbergen, Sweder van - Tinbergen Instituut - 2014

CoCo’s (contingent convertible capital) are designed to convert from debt to equity when banks need it most. Using a Diamond-Dybvig model cast in a global games framework, we show that while the CoCo conversion of the issuing bank may bring the bank back into compliance with capital...

Persistent link: https://www.econbiz.de/10011255852

Asset Market Linkages in Crisis Periods

Hartmann, P.; Straetmans, S.; Vries, C.G. de - Tinbergen Instituut - 2001

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to …

Persistent link: https://www.econbiz.de/10011255868

Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics

Lucas, Andre; Schwaab, Bernd; Zhang, Xin - Tinbergen Instituut - 2013

with time-varying volatility and dependence parameters that naturally accommodates asymmetries, heavy tails, as well as non …-linear and time-varying default dependence. We demonstrate how to apply a conditional law of large numbers in this setting to …

Persistent link: https://www.econbiz.de/10011255874

A Pigovian Approach to Liquidity Regulation

Perotti, Enrico; Suarez, Javier - Tinbergen Instituut - 2011

This paper discusses liquidity regulation when short-term funding enables credit growth but generates negative systemic risk externalities. It focuses on the relativemerit of price versus quantity rules, showing how they target different incentives for risk creation.When banks differ in credit...

Persistent link: https://www.econbiz.de/10011256463

Systemic Risk Diagnostics

Schwaab, Bernd; Lucas, Andre; Koopman, Siem Jan - Tinbergen Instituut - 2010

A macro-prudential policy maker can manage risks to financial stability only if currentand future risks can be reliably assessed. We propose a novel framework to assessfinancial system risk. Using a dynamic factor framework based on state-space methods, we model latent macro-financial and credit...

Persistent link: https://www.econbiz.de/10011256905